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Problem: The following model is given: yi=Aixi+ni for i=1,2, where Ai is a known matrix and N is
noise. (a) Model this as a 'super' LSE problem for xii=1,2 and solve it. (b) Is the solution found in
the previous part same as two separate LSE solutions on the two separate problems? Explain. (c)
Find the MSE in the LSE of the combined 'super' model. (d) Solve the RRE for the 'super' problem.
(e) Give an expression for the mean of the square norm of Y in the 'super' problem. (f) If xi,ni are
independent and Gaussian, is the composite "super" y Gaussian, explain. (g) Are y,n1,x2 jointly
Gaussian? Explain. (h) Find the mean, covariance matrix of the composite y.

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Problem The following model is given yiAixi+ni for i12.pdf

  • 1. Problem: The following model is given: yi=Aixi+ni for i=1,2, where Ai is a known matrix and N is noise. (a) Model this as a 'super' LSE problem for xii=1,2 and solve it. (b) Is the solution found in the previous part same as two separate LSE solutions on the two separate problems? Explain. (c) Find the MSE in the LSE of the combined 'super' model. (d) Solve the RRE for the 'super' problem. (e) Give an expression for the mean of the square norm of Y in the 'super' problem. (f) If xi,ni are independent and Gaussian, is the composite "super" y Gaussian, explain. (g) Are y,n1,x2 jointly Gaussian? Explain. (h) Find the mean, covariance matrix of the composite y.